On the basis of spread composition, we analyze some determinant factors that influence components of spread of order-driven markets after processing the data of the Shenzhen stock market. We found out that by acting on different component of spread each significantly, some factors, such as order imbalance, the number of deals, volume and price exert significant influence on spread and there is no significant correlation between abnormal relative volume (NSIZE) and both the spread and the components of the spread.
雷觉铭, 李平, 曾勇. 深圳股市价差影响因素的实证研究[J]. J4, 2010, 7(10): 1535-.
LEI Jue-Ming, LI Ping, ZENG Yong. An Empirical Study on the Determinants of Spread of Shenzhen Stock Market. J4, 2010, 7(10): 1535-.